WM Options History — May 2012

In May 2012, WM traded between $32.30 and $34.54. ATM implied volatility averaged 17.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 16.2%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-05-11: Highest Volume — 15,944 contracts
  • 2012-05-21: Largest IV drop — 22.5% change
  • 2012-05-17: Highest IV Rank — 21.2%
  • 2012-05-17: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.26$32.30$34.54$34.54$32.44
Max Pain$33.45$32.00$35.00$35.00$33.00
ATM IV17.8%13.3%22.6%13.3%20.6%
Expected Move5.2%3.8%6.5%3.8%5.9%
HV 20d16.2%12.7%17.8%17.7%12.8%
HV 60d13.8%13.5%14.1%13.7%13.7%
IV Rank11.8%2.7%21.2%2.7%17.3%
IV Percentile28.1%2.4%53.6%2.4%45.6%
Term Structure0.1%-1.7%1.6%0.5%-0.2%
VWIV18.3%15.0%22.1%15.0%17.7%
Skew 25d6.7%4.3%9.3%4.3%5.9%
Skew 10d15.0%9.1%19.4%9.1%15.8%
Call IV 25d15.6%12.2%18.8%13.8%17.1%
Put IV 25d22.3%18.1%25.4%18.1%23.0%
Bid-Ask Spread %20.9413.3926.9114.7122.87
Gamma HHI0.180.110.390.140.12
Net GEX392.5K-4.5M3.4M1.5M2.1M
Net DEX-1.1M-28.8M46.0M-28.8M-466.1K
Net VEX-608.0K-651.2K-559.8K-637.6K-605.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.191.900.271.47
Total Volume3,898.6361,34615,9442,8502,389
Total OI134,926.682114,477154,218132,786128,458

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$34.54$35.0013.3%3.8%17.7%2.7%15.0%4.3%0.5%1.5M-28.8M-637.6K0.2714.71N/AN/A2,24260870,25462,532
2012-05-02$34.46$35.0016.2%4.6%17.5%8.4%15.1%6.2%-0.1%1.3M-24.6M-639.7K0.9218.02N/AN/A70164571,30262,670
2012-05-03$34.27$35.0016.1%4.6%17.5%8.3%15.4%5.9%-0.1%943.9K-20.9M-651.2K0.3720.44N/AN/A1,33549471,40862,871
2012-05-04$33.97$34.0015.8%4.8%17.7%7.8%18.1%6.6%-0.5%-91.6K-8.0M-619.9K1.9013.39N/AN/A9001,70971,33863,033
2012-05-07$34.01$34.0015.7%4.7%17.7%7.5%17.9%6.9%-0.1%-32.8K-9.5M-611.9K0.1920.09N/AN/A2,17141071,39563,454
2012-05-08$33.98$34.0015.9%4.8%17.1%7.9%18.0%7.2%-0.0%216.0K-8.5M-593.4K1.2714.30N/AN/A1,0541,34272,28263,470
2012-05-09$33.79$34.0015.8%4.7%16.6%7.7%19.2%7.1%0.1%-237.2K-6.3M-605.4K0.9226.69N/AN/A1,1861,09572,68663,204
2012-05-10$33.83$34.0016.8%4.8%15.5%9.6%17.3%6.4%-0.1%-417.2K-5.3M-608.7K0.2420.64N/AN/A2,56561172,89363,401
2012-05-11$33.48$34.0020.1%5.8%15.7%16.3%18.2%7.0%-1.7%-1.0M5.3M-603.4K0.4117.09N/AN/A11,3114,63373,79763,891
2012-05-14$32.62$34.0019.8%5.7%17.4%15.7%21.2%7.2%-1.1%-2.2M36.6M-573.5K0.4721.93N/AN/A6,4953,02481,84266,458
2012-05-15$32.66$34.0019.6%5.6%16.9%15.2%20.8%6.9%-0.3%-2.2M36.0M-588.5K0.5423.16N/AN/A1,9031,03484,21167,354
2012-05-16$32.69$33.0019.6%5.6%16.5%15.3%20.0%6.5%-0.1%-2.5M32.3M-571.8K0.2218.37N/AN/A2,20547784,89067,483
2012-05-17$32.38$33.0022.6%6.5%16.6%21.2%22.1%6.6%-0.8%-4.5M39.0M-582.6K0.2426.91N/AN/A2,48858885,72067,554
2012-05-18$32.30$33.0022.0%6.3%16.1%20.1%19.9%7.7%-0.8%-3.6M46.0M-573.7K0.7723.51N/AN/A1,8511,42886,73767,481
2012-05-21$32.65$33.0017.1%4.9%17.1%10.2%16.8%6.3%0.8%1.0M1.4M-559.8K0.2121.12N/AN/A6,0271,24073,77040,707
2012-05-22$32.85$33.0017.4%5.0%17.3%10.9%21.5%7.8%1.1%2.4M-10.3M-602.2K0.2021.24N/AN/A6,1411,20778,00840,983
2012-05-23$33.15$32.0018.6%5.3%17.8%13.4%19.1%7.1%0.1%3.4M-26.8M-643.3K0.5922.44N/AN/A1,25774482,80341,561
2012-05-24$33.09$32.0017.5%5.0%16.5%11.1%17.6%6.3%1.4%3.3M-24.0M-635.5K1.0620.60N/AN/A89194383,26041,492
2012-05-25$32.96$32.0017.2%4.9%13.2%10.6%17.7%6.9%1.0%3.2M-18.7M-627.8K0.4626.81N/AN/A2,2561,04483,85242,173
2012-05-29$32.95$32.0017.3%5.0%13.2%10.6%17.4%5.8%0.7%3.3M-19.1M-610.4K1.3821.47N/AN/A1,4492,00484,32542,530
2012-05-30$32.63$33.0017.5%5.0%12.7%11.0%17.6%9.3%1.6%2.8M-10.1M-631.4K0.4424.87N/AN/A1,16051384,74744,107
2012-05-31$32.44$33.0020.6%5.9%12.8%17.3%17.7%5.9%-0.2%2.1M-466.1K-605.4K1.4722.87N/AN/A9691,42084,06644,392